Risk-Aware Bilevel Optimal Offering Strategy of a Joint Wind/Storage Unit Based on Information Gap Decision Theory
Amirhossein Khazali, Navid Rezaei, Wencong Su, Mohsen Kalantar
Abstract
This article presents a robust approach for the optimal offering of joint wind/storage units in day-ahead nodal energy markets. The problem is formulated as a bilevel optimization problem wherein the upper level, the joint unit profit is maximized and at the lower level, the market is cleared by the system operator. The bilevel optimization problem is effectively formulated as a mathematical program with equilibrium constraints and converted to a trackable mixed-integer linear program. Information gap decision theory (IGDT) is implemented to manage the uncertainties caused by wind generation and price uncertainty of the system. Two different strategies are considered for optimal offering by IGDT including risk-averse and opportunity seeker strategies. While in the risk-averse approach conservative offers are submitted to assure a minimum profit, in the opportunity seeker strategy there is an optimistic view to uncertainties which can be exploited to increase the gained profit.